This might be the most exciting news I've heard in a long time. Being able to use Visual Studio and .NET for web development while using zsh and all the other Linux tools? Dreamland.
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What does this give you that you would not already have with cygwin? The latter installs .exe versions of the usual command line utils, and I'm almost certain ZSH and the others you speak of are included.
I do not understand the practical implications of this move by Canonical/MS other than PR - what's actually changing from a user/dev standpoint?